Tail Causality between Crude Oil Price and RMB Exchange Rate
作者机构：College of Business and Shanghai Institute of Intermational Finance Shanghai University of Finance and EconomicsChina Development and StrategyRenmin University of ChinaChina College of Business and Shanghai Institute of International Finance and EconomicsShanghai University of Finance and EconomicsChina
出 版 物：《China & World Economy》 (中国与世界经济（英文版）)
年 卷 期：2020年第28卷第3期
页 面：116-134页
核心收录：
学科分类：02[经济学] 0202[经济学-应用经济学] 1202[管理学-工商管理] 0201[经济学-理论经济学] 0701[理学-数学]
基 金：The authors are grateful for financial support from the National Natural Science Foundation of China(No.71703086) the National Social Science Fund of China(No.18AZD010) the Program for Innovative Research Team of Shanghai University of Finance and Economics.
主 题：crude oil price exchange rate quantile causality test
摘 要：In this paper we assess the causal relationship between international crude oil price changes and the RMB exchange rate using daily information from 21 July 2005 to 5 April 2017.In addition to linear causality tests,we employ quantile causality test to.identify prior imperceptible causplity in quantiles.We find a causal relationship from crude oil price to exchange rate at each quantile interval,but the reverse only appears in tail.This may help to explain why a traditional linear test fails to capture the causality from exchange rate to crude oil price as the quantile causalities in tails are canceled out by each other:Moreover;using RMB as the settlement currency in crude oil trade can weaken the prior significant causal relationships between crude oil price and exchange rate,whereas the reform of exchange rate marketization reignites the tail causalities from exchange rate to crude oil price.These findings recommend a wider use of domestic currencies in crude oil trade to avoid risk from the crude oil market.
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